Article Dans Une Revue Decisions in Economics and Finance Année : 2023

The insider trading problem in a jump-binomial model

Résumé

We study insider trading in a jump-binomial model of the financial market that is based on a marked binomial process and that serves as a suitable alternative to some classical trinomial models. Our investigations focus on the two main questions: measuring the advantage of the insider's additional information and stating a closed form for her hedging strategy. Our approach is based on the results of enlargement of filtration in a discrete-time setting stated by Blanchet-Scalliet and Jeanblanc (in: From probability to finance, Springer, Berlin, 2020) and on a stochastic analysis for marked binomial processes developed in the companion paper (Halconruy in Electron J Probab 27:1-39, 2022). Our work provides in a discrete-time and an incomplete market setting the analogues of some results of Amendinger et al. (
Fichier principal
Vignette du fichier
H. Halconruy The insider trading problem in a jump-binomial model.pdf (768.13 Ko) Télécharger le fichier
Origine Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04346427 , version 1 (19-01-2025)

Identifiants

Citer

Hélène Halconruy. The insider trading problem in a jump-binomial model. Decisions in Economics and Finance, 2023, 46 (2), pp.379-413. ⟨10.1007/s10203-023-00412-2⟩. ⟨hal-04346427⟩
0 Consultations
1 Téléchargements

Altmetric

Partager

More